Traders' Roundtable

CSI software (UA) allows you to manually put in next day prices. So, you can gather the price information after the market closes from the exchange, put it into your CSI database, rebuild your files and run your trading software to generate next day orders before the market re-opens. You have more ...

It is very hard for people to really appreciate “risk.â€

I thought I would join Old European in posting current position information. I agree with his assessment that it is mostly useless even though it may be interesting. It tells you nothing about why and when the position was entered or why and when it will be exited. These are the net positions from ...

I also believe that understanding and measuring daily fluctuation is important. Last year I began to closely track daily returns and the standard deviation of these returns – even though my overall program (4 systems) does not include any “day-tradingâ€

I was thinking some more about c.f.’ initial point in his post above. c.f. said if you have a properly designed trading program the answer to this thread’s question “When to stop tradingâ€

I agree with everything Old European just posted and was writing the following before I saw it. Anyway, I thought I would go ahead and post what I drafted to add to the discussion.

MarkH


The way I see it, monte carlo analysis of a multi-strategy/multi-market mechanical trading program (where you ...

Steve -

CSI adds a fixed amount to raise the entire data series above zero. This means that the current price also has this fixed amount added to it. To find out how much is being added to a particular series, subtract the actual price from the CSI price. For example, if the CSI price is 150.05 and ...

Jake -

Good example. Note that CSI simply adds an appropriate round number to the data series to lift the entire series above zero. For crude, my program is adding $30.00. It could just as easily add 40, 50, 60, etc., and I have seen the amount added change from time to time as the continuous ...

Jake -

Crude is a good example because the backadjusted prices have the additional complication of also going negative as well as the problem of the backadjusted price level being very different from the actual historical price.

In any event, the 1990 ATR of crude that is calculated on the ...

Jake -

When using backadjusted continuous futures contracts (in contrast to stocks), I think you would agree that you need to be careful using ATR divided by price since the historical prices are not accurate but the ATR measure is. The price inaccuracy is greater in some contracts than others. It ...

When Chuck Lebeau started his web site, he advocated the idea of designing systems to be used on specific markets and sold simple, inexpensive systems for single markets. I don't know for sure, but I don't think most of the market specific systems have performed that well after release. I actually ...

kianti -

CSI's backadjusting does generate negative numbers in the past time series for crude (and other commodities as well). There is a backadjusting option that, if selected, will add a fixed amount to the entire data series to eliminate the negative numbers. This means that the current prices ...

Chris -

I, too, was a little surprised that a limit order entry for a trendfollowing strategy would backtest very well -- but, I do get good backtested simulated results and my real time trading is tracking my simulated trading --- with the rare exception of sometimes not getting a fill when the ...

The amount of slippage also depends on the type of order your system uses to enter and exit trades. Stop orders tend to have the most, market orders next and limit orders have the least. For stop (and market) orders, I use $85.00 per contract per trade for most markets (higher amounts for equity ...